Rigid Body Physics: Having multiple rigid body worlds
No, the manual does not say that you can have multiple rigid body worlds. What they mean is that you can have multiple groups that can be selected in the "Rigid Body World" panel. The name of the default group is "RigidBodyWorld", which makes things a bit confusing. I explained these concepts in more detail in my answer to this question: Rigid Body World (Groups) Explained

At a given time (and within a given scene) you can have only one rigid body simulation.

A workaround could be to use multiple scenes (each scene can have its own "Rigid Body World" settings), and composite the results together.